l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations
Year of publication: |
2015
|
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Authors: | Medeiros, Marcelo C. ; Mendes, Eduardo F. |
Publisher: |
Rio de Janeiro : Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia |
Subject: | sparse models | shrinkage | LASSO | adaLASSO | time series | forecasting | GARCH |
Series: | Texto para discussão ; 636 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 822017415 [GVK] hdl:10419/176119 [Handle] RePEc:rio:texdis:636 [RePEc] |
Classification: | C22 - Time-Series Models |
Source: |
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